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BB HeikinAshi-Einstieg

Bollinger-Bands-Strategie mit Heikin Ashi Kerzen.

Das System wartet auf zwei oder drei aufeinanderfolgende bearische Heikin Ashi Bars, die das untere Bollinger Band berühren. Eine bullische Kerze, die wieder über dem Band schließt, löst einen Long-Einstieg aus. Shorts funktionieren in die entgegengesetzte Richtung. Die Hälfte der Position wird beim ersten Ziel geschlossen, der Rest wird mit einem Trailing-Stop geschützt.

Details

  • Einstiegskriterien: Umkehr aufeinanderfolgender Heikin Ashi Kerzen um die Bollinger Bands.
  • Long/Short: Beide.
  • Ausstiegskriterien: Teilweise Gewinnmitnahme und Trailing-Stop.
  • Stops: Ja.
  • Standardwerte:
    • BollingerLength = 20
    • BollingerWidth = 2
    • CandleType = TimeSpan.FromMinutes(15)
  • Filter:
    • Kategorie: Umkehr
    • Richtung: Beide
    • Indikatoren: Heikin Ashi, Bollinger Bands
    • Stops: Ja
    • Komplexität: Mittel
    • Zeitrahmen: Intraday (15m)
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Bollinger Bands + Heikin Ashi entry strategy with partial profit and trailing stop.
/// </summary>
public class BbHeikinAshiEntryStrategy : Strategy
{
private readonly StrategyParam<DataType> _candleType;
private readonly StrategyParam<int> _bollingerLength;
private readonly StrategyParam<decimal> _bollingerWidth;

private BollingerBands _bollinger;

private decimal _haOpenPrev1, _haOpenPrev2, _haOpenPrev3;
private decimal _haClosePrev1, _haClosePrev2, _haClosePrev3;
private decimal _haHighPrev1, _haHighPrev2, _haHighPrev3;
private decimal _haLowPrev1, _haLowPrev2, _haLowPrev3;
private decimal _upperBbPrev1, _upperBbPrev2, _upperBbPrev3;
private decimal _lowerBbPrev1, _lowerBbPrev2, _lowerBbPrev3;
private decimal _prevRawLow;
private decimal _prevRawHigh;


/// <summary>
/// Initialize BB Heikin Ashi Entry strategy.
/// </summary>
public BbHeikinAshiEntryStrategy()
{
_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
.SetDisplay("Candle Type", "Type of candles to use", "General");

_bollingerLength = Param(nameof(BollingerLength), 20)
.SetDisplay("Bollinger Length", "Period of Bollinger Bands", "Bollinger")

.SetOptimize(10, 40, 5);

_bollingerWidth = Param(nameof(BollingerWidth), 2m)
.SetDisplay("Bollinger Width", "Standard deviation multiplier", "Bollinger")

.SetOptimize(1m, 3m, 0.5m);
}

/// <summary>
/// Candle type.
/// </summary>
public DataType CandleType
{
get => _candleType.Value;
set => _candleType.Value = value;
}

/// <summary>
/// Bollinger period.
/// </summary>
public int BollingerLength
{
get => _bollingerLength.Value;
set => _bollingerLength.Value = value;
}

/// <summary>
/// Bollinger width (standard deviation).
/// </summary>
public decimal BollingerWidth
{
get => _bollingerWidth.Value;
set => _bollingerWidth.Value = value;
}

/// <inheritdoc />
public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
=> [(Security, CandleType)];

/// <inheritdoc />
protected override void OnReseted()
{
base.OnReseted();

_haOpenPrev1 = _haOpenPrev2 = _haOpenPrev3 = default;
_haClosePrev1 = _haClosePrev2 = _haClosePrev3 = default;
_haHighPrev1 = _haHighPrev2 = _haHighPrev3 = default;
_haLowPrev1 = _haLowPrev2 = _haLowPrev3 = default;
_upperBbPrev1 = _upperBbPrev2 = _upperBbPrev3 = default;
_lowerBbPrev1 = _lowerBbPrev2 = _lowerBbPrev3 = default;
_prevRawLow = _prevRawHigh = default;
}

/// <inheritdoc />
protected override void OnStarted2(DateTime time)
{
base.OnStarted2(time);

_bollinger = new BollingerBands
{
Length = BollingerLength,
Width = BollingerWidth
};

var subscription = SubscribeCandles(CandleType);
subscription
.BindEx(_bollinger, ProcessCandle)
.Start();

StartProtection(
	takeProfit: new Unit(2, UnitTypes.Percent),
	stopLoss: new Unit(1, UnitTypes.Percent)
);

var area = CreateChartArea();
if (area != null)
{
DrawCandles(area, subscription);
DrawIndicator(area, _bollinger);
DrawOwnTrades(area);
}
}

private void ProcessCandle(ICandleMessage candle, IIndicatorValue bbResult)
{
if (candle.State != CandleStates.Finished)
return;

var haClose = (candle.OpenPrice + candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 4m;
var haOpen = _haOpenPrev1 == 0
? (candle.OpenPrice + candle.ClosePrice) / 2m
: (_haOpenPrev1 + _haClosePrev1) / 2m;
var haHigh = Math.Max(Math.Max(candle.HighPrice, haOpen), haClose);
var haLow = Math.Min(Math.Min(candle.LowPrice, haOpen), haClose);

if (bbResult is not BollingerBandsValue bbRaw ||
	bbRaw.UpBand is not decimal upper ||
	bbRaw.LowBand is not decimal lower)
{
	Shift(haOpen, haClose, haHigh, haLow, 0m, 0m, candle);
	return;
}

if (_haOpenPrev1 != 0)
{
var redCandle1 = _haClosePrev1 < _haOpenPrev1 && _haLowPrev1 <= _lowerBbPrev1;
var redCandle2 = _haClosePrev2 < _haOpenPrev2 && _haLowPrev2 <= _lowerBbPrev2;
var greenConfirmation = haClose > haOpen;
var buySignal = (redCandle1 || redCandle2) && greenConfirmation;

var greenCandle1 = _haClosePrev1 > _haOpenPrev1 && _haHighPrev1 >= _upperBbPrev1;
var greenCandle2 = _haClosePrev2 > _haOpenPrev2 && _haHighPrev2 >= _upperBbPrev2;
var redConfirmation = haClose < haOpen;
var sellSignal = (greenCandle1 || greenCandle2) && redConfirmation;

if (buySignal && Position == 0)
{
BuyMarket();
}
else if (sellSignal && Position == 0)
{
SellMarket();
}
}

Shift(haOpen, haClose, haHigh, haLow, upper, lower, candle);
}

private void Shift(decimal haOpen, decimal haClose, decimal haHigh, decimal haLow, decimal upper, decimal lower, ICandleMessage candle)
{
_haOpenPrev3 = _haOpenPrev2;
_haOpenPrev2 = _haOpenPrev1;
_haOpenPrev1 = haOpen;

_haClosePrev3 = _haClosePrev2;
_haClosePrev2 = _haClosePrev1;
_haClosePrev1 = haClose;

_haHighPrev3 = _haHighPrev2;
_haHighPrev2 = _haHighPrev1;
_haHighPrev1 = haHigh;

_haLowPrev3 = _haLowPrev2;
_haLowPrev2 = _haLowPrev1;
_haLowPrev1 = haLow;

_upperBbPrev3 = _upperBbPrev2;
_upperBbPrev2 = _upperBbPrev1;
_upperBbPrev1 = upper;

_lowerBbPrev3 = _lowerBbPrev2;
_lowerBbPrev2 = _lowerBbPrev1;
_lowerBbPrev1 = lower;

_prevRawLow = candle.LowPrice;
_prevRawHigh = candle.HighPrice;
}
}